Dependent interest and transition rates in life insurance
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References listed on IDEAS
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- repec:gam:jrisks:v:6:y:2018:i:3:p:63-:d:154241 is not listed on IDEAS
- Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
- Berdin, Elia & Gründl, Helmut & Kubitza, Christian, 2017. "Rising interest rates, lapse risk, and the stability of life insurers," ICIR Working Paper Series 29/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Marcus Christiansen & Andreas Niemeyer, 2015. "On the forward rate concept in multi-state life insurance," Finance and Stochastics, Springer, vol. 19(2), pages 295-327, April.
- Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01727669, HAL.
- Kristian Buchardt & Thomas Møller, 2015. "Life Insurance Cash Flows with Policyholder Behavior," Risks, MDPI, Open Access Journal, vol. 3(3), pages 1-28, July.
More about this item
KeywordsAffine processes; Doubly stochastic process; Multi-state life insurance models; Policyholder behaviour; Solvency II; Surrender;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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